Close option before perp so the hedge stays while exiting the thin leg.

EOF

Co-authored-by: Cursor <cursoragent@cursor.com>

backend/app/sim/matcher.py

@@ -270,6 +270,7 @@ class Matcher:
         """
         全平一组。默认校验期权买一深度 + 买一/标记偏差（默认≤30%）。
         bypass_liquidity=True：紧急全平可绕过（仍需有可用买一价才能成交；无买一时用标记近似）。
+        成交顺序：先平期权（薄）→ 再瞬时平永续（对冲先留着）；永续盘口失败则回滚期权入账。
         """
         s = get_settings()
         pos = self.current_position()
@@ -329,14 +330,7 @@ class Matcher:
         perp_entry = float(pos["perp_entry_px"])
         opt_entry = float(pos["option_entry_px"])
 
-        pf = perp_fill(
-            side=perp_side,
-            action="close",
-            bid=float(snap.perp.bid),
-            ask=float(snap.perp.ask),
-            qty_eth=perp_qty,
-            fee_rate=fee_rate,
-        )
+        # 1) 先平期权（买一流动性差）；永续对冲暂留
         of = option_fill(
             action="close",
             bid=float(close_bid),
@@ -344,50 +338,53 @@ class Matcher:
             qty_eth=opt_qty,
             fee_rate=fee_rate,
         )
+        opt_pnl = (of.fill_px - opt_entry) * opt_qty
+        opt_cash = of.notional - of.fee
+        self.ledger.apply_cash(
+            opt_cash,
+            kind="close_option",
+            group_id=group_id,
+            note=f"close option {reason}",
+        )
 
-        # 永续盈亏
+        # 2) 期权确认后再瞬时平永续（重取盘口）
+        snap2 = sess.snapshot()
+        if not snap2.perp or snap2.perp.bid is None or snap2.perp.ask is None:
+            self.ledger.apply_cash(
+                -opt_cash,
+                kind="close_option_rollback",
+                group_id=group_id,
+                note=f"rollback option close {group_id}: perp book missing",
+            )
+            return CloseResult(
+                ok=False,
+                detail="期权已平但永续盘口不可用，已回滚期权入账",
+            )
+
+        pf = perp_fill(
+            side=perp_side,
+            action="close",
+            bid=float(snap2.perp.bid),
+            ask=float(snap2.perp.ask),
+            qty_eth=perp_qty,
+            fee_rate=fee_rate,
+        )
         if perp_side == "long":
             perp_pnl = (pf.fill_px - perp_entry) * perp_qty
         else:
             perp_pnl = (perp_entry - pf.fill_px) * perp_qty
-        # 期权多头盈亏
-        opt_pnl = (of.fill_px - opt_entry) * opt_qty
-        cash_in = of.notional - of.fee + pf.fee * 0  # 收回权利金（扣卖出费）；永续平仓费另扣
-        # 永续平仓：实现盈亏入账并扣平仓手续费
-        net = perp_pnl + opt_pnl - pf.fee - of.fee
-        # 更清晰：现金变动 = 期权卖出净额 + 永续盈亏 - 永续平仓费
-        # 开仓已付期权权利金+开仓费；平仓收回 of.notional 并付 of.fee；永续只记 pnl 与 fee
-        cash_delta = (of.notional - of.fee) + perp_pnl - pf.fee
-
         self.ledger.apply_cash(
-            cash_delta,
-            kind="close_settle",
+            perp_pnl - pf.fee,
+            kind="close_perp",
             group_id=group_id,
-            note=f"close {reason}",
+            note=f"close perp {reason}",
         )
 
+        net = perp_pnl + opt_pnl - pf.fee - of.fee
+
         now = int(time.time() * 1000)
         with self.db._lock:
-            self.db._conn.execute(
-                """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
-                   base_px, fill_px, fee, slip, notional, ts_ms)
-                   VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
-                (
-                    group_id,
-                    "perp",
-                    "close",
-                    "flat",
-                    s.perp_inst_id,
-                    perp_qty,
-                    None,
-                    pf.base_px,
-                    pf.fill_px,
-                    pf.fee,
-                    pf.slip,
-                    pf.notional,
-                    now,
-                ),
-            )
+            # 成交顺序：期权先、永续后
             self.db._conn.execute(
                 """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
                    base_px, fill_px, fee, slip, notional, ts_ms)
@@ -408,6 +405,26 @@ class Matcher:
                     now,
                 ),
             )
+            self.db._conn.execute(
+                """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
+                   base_px, fill_px, fee, slip, notional, ts_ms)
+                   VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
+                (
+                    group_id,
+                    "perp",
+                    "close",
+                    "flat",
+                    s.perp_inst_id,
+                    perp_qty,
+                    None,
+                    pf.base_px,
+                    pf.fill_px,
+                    pf.fee,
+                    pf.slip,
+                    pf.notional,
+                    now + 1,
+                ),
+            )
             g = self.db._conn.execute(
                 "SELECT fees, slip_cost FROM groups WHERE group_id=?", (group_id,)
             ).fetchone()
@@ -436,7 +453,8 @@ class Matcher:
                 "perp_pnl": perp_pnl,
                 "option_pnl": opt_pnl,
                 "net": net,
-                "cash_delta": cash_delta,
+                "close_sequence": ["option", "perp"],
+                "cash_delta": opt_cash + perp_pnl - pf.fee,
             },
         )
 

docs/策略说明.md

@@ -32,6 +32,8 @@
 
 **开仓顺序**：先成交期权 → 确认后再市价成交永续。永续盘口失败则回滚期权扣款，不留半边仓。
 
+**平仓顺序**：同样先平期权（买一薄）→ 再瞬时平永续。平期权期间永续对冲先留着；永续盘口失败则回滚期权入账。
+
 永续杠杆默认 **3×**（可配）。同时最多 **1 组**仓，禁止叠仓开下一组。
 
 ### 2.1 开仓方向（ATM 相对现价优先）
@@ -99,7 +101,7 @@
 
 ## 4. 平仓机制
 
-任一触发 → **该组永续 + 期权全部平掉**。
+任一触发 → **该组永续 + 期权全部平掉**（先期权、后永续）。
 
 ### 4.1 净盈利达标（主出场）
 
@@ -254,3 +256,4 @@
 | 日期 | 说明 |
 |------|------|
 | 2026-07-25 | 初稿：对齐当前开平仓、周末跳过、到期全平、净盈利口径与资金建议 |
+| 2026-07-25 | 平仓顺序改为先期权后永续（与开仓同理：薄腿优先） |